what they are referring to is if you want information back from the transaction so that you can display it to your customer (his transaction ID, maybe some message that says when he can expect to receive his shipment).

You can also find out more information at the WP Help Club, registration is free.

you would have to set this up in wordpress if you were using a shopping cart or a membership system but since you only have a paypal button all you need is to make sure that you setup the return url (when you create the button in paypal you need to check the option Take customers to this URL when they finish checkout and enter the url where you want customers to be sent.